Months matrix

Also seen as: monthly returns heatmap, month grid.

What is in the matrix?

The columns run Year, then Jan through Dec, then three per-year summary columns.

• Year is the calendar year, and its column help reads "Calendar year". It stays pinned to the left as you scroll sideways, and clicking a year selects it.
• Jan–Dec each hold that month's return for that year, printed as a percentage in the cell. Months that have not been simulated yet — the remainder of the current year, for instance — are left blank.
• Total is the year's own total return. See total return.
• DD is the deepest fall inside that year. See max drawdown.
• NP/DD is that year's return divided by the size of that fall. See return-to-drawdown ratio.

Rows start with the most recent year at the top. Clicking any column header sorts the whole grid by that column and clicking again reverses it, so sorting by Jan ranks the years by their January, and sorting by DD brings the roughest years together. Blank months always sort to the bottom. The grid scrolls rather than paging.

What do the colours mean?

The shading carries one fact and one fact only: the size and direction of that month's return. Every figure is also printed as a number in its cell, so the colour is a way to find things quickly, never the only way to read a value.

• Green means the month ended positive; red means it ended negative.
• Stronger colour means a bigger move. The intensity is scaled against the strongest single month currently in the grid, so the most saturated green cell is the best month on view and the most saturated red cell is the worst. Every non-zero month keeps at least a faint tint, so a small move is still visible as a colour rather than disappearing.
• No colour means no move or no data. A month that ended exactly flat is left untinted, and so is a month with no result yet — a blank cell has no figure in it, which is how you tell the two apart.

Because the scale is relative to what is on view, the shading is a ranking within your own backtest, not an absolute scale you can compare between two different strategies. A strategy whose worst month was −4% will still show a deep red cell for it; that red means "worst month here", not "−20%".

What does the vs. Benchmark switch do?

The vs. Benchmark switch above the grid turns the month cells and the Total column into excess figures — your strategy's return minus the benchmark's return for the same month — so a green cell then means "beat the benchmark that month" rather than "made money that month". The switch leaves DD and NP/DD unchanged, since those describe the strategy's own path. The result is in percentage points; see excess return.

What does the year detail above the grid show?

Selecting a year — by clicking its row or the year itself — fills three stacked panels above the grid with just that year, and the most recent year is selected when the page opens.

• Equity, labelled "vs benchmark", is that year's value curve for your strategy against the benchmark. See equity curve.
• Drawdown is how far below its previous peak the strategy sat on each day of that year.
• Monthly returns is the same twelve months as bars, green above the line and red below.

Hovering any of the three highlights the matching point on the other two. Only the Monthly returns bars follow the vs. Benchmark switch; the Equity and Drawdown panels always show the strategy's own figures.

Defaults in Fincanva

• Four KPIs sit above the grid: Avg month, Best month, Worst month and Positive months. They cover the whole backtest, not the selected year, and they always describe the strategy itself even when the vs. Benchmark switch is on. See monthly and yearly average, best month and worst month and positive months.
• Sorting, year selection and the vs. Benchmark switch are display choices; none of them re-runs the backtest.
• The three simulation assumptions — Costs & interests, Taxes and Reinvest profits — change which set of figures the grid reads.
• With no completed run there is nothing to draw, and the page reads "No monthly data for this run."

Worked example

Say you want the worst month of a ten-year backtest without reading a hundred and twenty numbers. Scan for the darkest red cell: it sits in the Mar column of the 2020 row and reads −18.4%. That single cell is also the figure the Worst month KPI shows above the grid, and the one the metrics table reports as Worst month.

Now read the rest of that row across. Total for 2020 is +6.1% — the year finished up despite that March — and DD is −22.0%, deeper than the worst single month, because the fall ran across the end of February and into March rather than fitting inside one calendar month. That gap between −18.4% and −22.0% is the point of having both columns: a monthly grid cuts the path at month boundaries, and a drawdown does not.

Finally, click 2020 to load its detail panels: the Equity curve shows the drop and the recovery inside the year, and the Monthly returns bars show one deep red bar in March followed by green ones.

What counts as a good pattern?

The matrix describes distribution, not quality. A row of many small greens and a row with one huge green and several reds can both total the same, and they tell you different things about where the year's result came from — the second one depended on a single month, so it would look very different had the backtest window started or stopped a few weeks earlier.

Reading a column down instead of a row across shows whether one calendar month recurs as strong or weak. Bear in mind that ten years give only ten samples per month, which is far too few to distinguish a pattern from coincidence — and a pattern in past months is not a statement about future ones.

These figures describe what a strategy would have done on historical data, not what it will do. Fincanva provides no financial advice — see Is this financial advice?.